Arbeitspapier
Inflation dynamics and forecast: Frequency matters
Policymakers and researchers see inflation characterized by cyclical fluctuations driven by changes in resource utilization and temporary shocks, around a trend influenced by inflation expectations. We study the in-sample inflation dynamics and forecast inflation out-of-sample by analyzing a New Keynesian Phillips Curve (NKPC) in the frequency domain. In-sample, while inflation expectations dominate medium-to-long-run cycles, energy prices dominate short cycles and business-to-medium cycles once expectations became anchored. While statistically significant, unemployment is not economically relevant for any cycle. Out-of-sample, forecasts from a low-frequency NKPC significantly outperform several benchmark models. The long-run component of unemployment is key for such remarkable forecasting performance.
- ISBN
-
978-952-323-378-2
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 8/2021
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
inflation dynamics
inflation forecast
New Keynesian Phillips Curve
frequency domain
wavelets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Martins, Manuel Mota Freitas
Verona, Fabio
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Martins, Manuel Mota Freitas
- Verona, Fabio
- Bank of Finland
Entstanden
- 2021
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